Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1361 |
| Annualized Std Dev | 0.3002 |
| Annualized Sharpe (Rf=0%) | 0.4534 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3801.0000 |
| NAs | 1.0000 |
| Minimum | -0.1415 |
| Quartile 1 | -0.0091 |
| Median | 0.0012 |
| Arithmetic Mean | 0.0007 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0114 |
| Maximum | 0.1143 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0013 |
| Variance | 0.0004 |
| Stdev | 0.0189 |
| Skewness | -0.2978 |
| Kurtosis | 3.6493 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0138 |
| Gain Deviation | 0.0122 |
| Loss Deviation | 0.0138 |
| Downside Deviation (MAR=210%) | 0.0181 |
| Downside Deviation (Rf=0%) | 0.0135 |
| Downside Deviation (0%) | 0.0135 |
| Maximum Drawdown | 0.6487 |
| Historical VaR (95%) | -0.0303 |
| Historical ES (95%) | -0.0438 |
| Modified VaR (95%) | -0.0306 |
| Modified ES (95%) | -0.0514 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-18 | 2008-11-20 | 2011-01-06 | -0.6487 | 875 | 341 | 534 |
| 2011-02-18 | 2012-11-16 | 2014-02-13 | -0.3814 | 751 | 440 | 311 |
| 2020-01-24 | 2020-03-16 | 2020-06-05 | -0.3680 | 93 | 36 | 57 |
| 2006-05-08 | 2006-07-21 | 2007-07-16 | -0.2909 | 298 | 52 | 246 |
| 2018-09-05 | 2018-12-24 | 2019-02-25 | -0.2420 | 118 | 77 | 41 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | 4.1 | -0.4 | -0.4 | 2.5 | 0.8 | -2.2 | -1.6 | 0.2 | -2.3 | -1.1 | -0.5 | -1 |
| 2007 | 0.5 | -0.7 | 1.2 | -0.4 | 0.9 | -1 | 0 | 1.5 | 1.1 | -1.2 | -1.6 | -0.4 | -0.1 |
| 2008 | 5.6 | -2.7 | 3.3 | 3.5 | 1.6 | -0.5 | -1 | -2 | -0.4 | -0.3 | -7.9 | 3 | 1.6 |
| 2009 | -2 | 0.5 | 2.7 | 1.2 | 4.2 | 1.7 | 0.4 | -2.9 | -4.8 | -3.1 | 3.6 | -0.3 | 0.9 |
| 2010 | 3.7 | 2.4 | -0.1 | -4.3 | -2.2 | 0 | -0.8 | 2.7 | -0.5 | -0.3 | 3.3 | -0.1 | 3.4 |
| 2011 | 2.5 | -2.1 | -1.3 | 1.8 | -3.3 | 1.9 | -0.9 | -2 | -3.5 | -3.9 | 0.5 | -0.3 | -10.3 |
| 2012 | 2.2 | -0.2 | 0 | 0 | -4.3 | 3.7 | -0.7 | 1.1 | -0.7 | 3.1 | 0 | 2.1 | 6.2 |
| 2013 | 2.5 | -1.8 | -2.5 | -1.3 | -0.5 | 0.6 | 0.8 | -1.9 | 1.2 | -0.1 | -0.1 | 0.6 | -2.7 |
| 2014 | -0.8 | 0.1 | 1.9 | -0.1 | -0.1 | 1.4 | 0.8 | 1.6 | -2.5 | 4.7 | -2 | -0.5 | 4.5 |
| 2015 | -1.8 | 0 | -0.9 | 2.3 | 0.3 | -0.6 | -1 | -3.3 | -1.2 | 1.3 | 0.8 | -1.7 | -5.8 |
| 2016 | 0.1 | 2 | 0.8 | -2.7 | 0.6 | -0.8 | 0.4 | 1.3 | 1.5 | -0.1 | -4.8 | -1.6 | -3.6 |
| 2017 | 1.5 | 1.3 | -0.1 | 0.6 | 0.3 | -0.9 | 1 | 0.7 | 0.4 | -0.7 | -1.1 | -1 | 2.1 |
| 2018 | 0.1 | -1.4 | 2.1 | 1.8 | 1.8 | -0.4 | -0.1 | 1.4 | -0.4 | 4.8 | 1.2 | 0.7 | 12.1 |
| 2019 | 1 | 1.2 | 2.5 | -0.8 | -1.6 | 2.9 | -0.5 | 0.2 | -1.5 | 3 | -1.3 | 0 | 5.3 |
| 2020 | -3.5 | 2.2 | -5.6 | -5.2 | 0 | -1.7 | -0.4 | 2.3 | 2.4 | -1.2 | 0.8 | 0.6 | -9.1 |
| 2021 | 3.8 | 3.8 | 1.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 9.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
